Partial Discharge (PD) measurements of large generators are extremely affected and hampered by noise, making the denoising of PD signal an inevitable issue. Wavelet shrinkage is the most commonly employed method for PD signal denoising. The appropriate mother wavelet and decomposition level are critically important for the denoising performance. In consideration of the PD signal characteristics of large generators, a novel wavelet shrinkage scheme for PD signal denoising is presented. In the scheme, a scale dependent wavelet selection method is proposed; the core idea is that the optimum wavelet at each scale is selected as the one maximizing the energy ratio of coefficients beside and inside the range formed by the threshold, which correspond to the signal to be reserved and noise to be removed, respectively. In addition, taking into account the influence of mother wavelet at each scale on the decomposition level, an approach for decomposition level determination is put forward based on the energy composition after decomposition at each scale. The application results on the simulated signals with different SNR obtained by combining the various pulses and measured signal on-site show the effectiveness of the proposed scheme. Besides, the denoising results are compared with that of the existing wavelet selection methods and the proposed wavelet selection method shows an obvious advantage.